Calculate percent changes in contiguous ranges in Postgresql - sql

Question

I need to calculate price percent change in contiguous ranges. For example if price start moving up or down and I have sequence of decreasing or increasing values I need to grab first and last value of that sequence and calculate the change.
I'm using window lag function to calculate direction, my problem- I can't generate unique RANK for the sequences to calculate percent changes.
I tired combination of RANK, ROW_NUMBER, etc. with no luck.
Here's my query
WITH partitioned AS (
SELECT
*,
lag(price, 1) over(ORDER BY time) AS lag_price
FROM prices
),
sequenced AS (
SELECT
*,
CASE
WHEN price > lag_price THEN 'up'
WHEN price < lag_price THEN 'down'
ELSE 'equal'
END
AS direction
FROM partitioned
),
ranked AS (
SELECT
*,
-- Here's is the problem
-- I need to calculate unique rnk value for specific sequence
DENSE_RANK() OVER ( PARTITION BY direction ORDER BY time) + ROW_NUMBER() OVER ( ORDER BY time DESC) AS rnk
-- DENSE_RANK() OVER ( PARTITION BY seq ORDER BY time),
-- ROW_NUMBER() OVER ( ORDER BY seq, time DESC),
-- ROW_NUMBER() OVER ( ORDER BY seq),
-- RANK() OVER ( ORDER BY seq)
FROM sequenced
),
changed AS (
SELECT *,
FIRST_VALUE(price) OVER(PARTITION BY rnk ) first_price,
LAST_VALUE(price) OVER(PARTITION BY rnk ) last_price,
(LAST_VALUE(price) OVER(PARTITION BY rnk ) / FIRST_VALUE(price) OVER(PARTITION BY rnk ) - 1) * 100 AS percent_change
FROM ranked
)
SELECT
*
FROM changed
ORDER BY time DESC;
and SQLFiddle with sample data

Answer 1

If anyone interested here's solution, form another forum:
with ct1 as /* detecting direction: up, down, equal */
(
select
price, time,
case
when lag(price) over (order by time) < price then 'down'
when lag(price) over (order by time) > price then 'up'
else 'equal'
end as dir
from
prices
)
, ct2 as /* setting reset points */
(
select
price, time, dir,
case
when coalesce(lag(dir) over (order by time), 'none') <> dir
then 1 else 0
end as rst
from
ct1
)
, ct3 as /* making groups */
(
select
price, time, dir,
sum(rst) over (order by time) as grp
from
ct2
)
select /* calculates min, max price per group */
price, time, dir,
min(price) over (partition by grp) as min_price,
max(price) over (partition by grp) as max_price
from
ct3
order by
time desc;